One of the most crucial decisions for investors and plan sponsors is the selection of funds among the thousands of available alternatives. We stress that an investor first needs to specify a target alpha, i.e., the expected fund return in excess of a benchmark, and that the target alpha...

The growing dominance of the core and explore model – a large passive index combined with a collection of high tracking error satellite portfolios – in conjunction with the growth of factor investing has renewed interest in how to allocate among different equity strategies. We study this...

This paper investigates earnings revisions that occur between preliminary earnings announcements and the immediate subsequent SEC filings. On average, the absolute value of the revision is 2.9% of the market value of equity where earnings were revised by more than $100,000. We find that earnings...

This study provides evidence that a significant percentage of analyst forecast revisions are issued promptly after a broad set of corporate public disclosures and that investors perceive these prompt revisions as more valuable than non-prompt revisions. These results hold for all revisions,...

Information on Order Backlogs (OB) have long been sought after by analysts and practitioners as indicators of future sales, and in turn, of future earnings and stock returns. OB disclosures, though mandatory for annual reports, are voluntary for quarterly reports, and sometimes presented in...

The Securities and Exchange Commission (SEC) has mandated new disclosure requirements in Form 8-K, which became effective on August 23, 2004. The SEC expanded the list of items that have to be reported and accelerated the timeliness of these reports. This study examines the market reactions to...

This study evaluates the impact of earnings on firm credit risk as captured by Credit Default Swaps (CDS). We find that earnings (changes) are negatively correlated with one-year swap premia (changes) after controlling for equity returns but not with longer term premia (changes). We also find...

This study evaluates the impact of earnings on firm credit risk as captured by CreditDefault Swaps (CDS). We find that earnings (changes) are negatively correlated withone-year swap premia (changes) after controlling for equity returns but not with longer term premia (changes). We also find that...

Recent evidence shows that option volatility skews and volatility spreads between call and put options predict equity returns. This study investigates whether such predictive ability is driven by option traders' information advantage. We examine the predictive ability of volatility skews and...

Recent evidence shows that option volatility skews and volatility spreads between call and put options predict equity returns. This study investigates whether such predictive ability is driven by option traders' information advantage. We examine the predictive ability of volatility skews and...